Table 5: Parametric Statistics (Autocorrelation Test) of Market Return.

Leg12345678

Group Policy 1Autocorrelation0.300*0.163*0.1040.130*0.246*0.1160.0710.048
1/1/1994–23/8/1995Ljung-Box statistics 41.3$53.5$58.5$66.3$94.2$100.4$102.8$103.8$

Group Policy 2Autocorrelation0.285*0.129*0.0890.125*0.215*0.1060.0560.038
1/1/1994–23/6/1996Ljung-Box statistics 52.5$63.2$68.3$78.5$108.4$115.7$117.7$118.6$

Group Policy 3Autocorrelation0.510*0.196*0.0270.0580.085*0.0490.0200.066
1/1/1994–17/2/1997Ljung-Box statistics 215.9$247.9$248.6$251.3$257.3$259.3$259.6$263.3$

Group Policy 4Autocorrelation0.400*0.0280.0440.109*0.047−0.0130.0430.062
1/1/1994–23/5/1998Ljung-Box statistics 184.0$184.9$187.1$200.9$203.5$203.6$205.8$210.2$

Group Policy 5Autocorrelation0.366*0.0100.0180.108*0.0570.0180.0320.051
1/1/1994–27/4/1999Ljung-Box statistics 187.1$187.3$187.7$204.0$208.5$208.9$210.4$214.0$

Group Policy 6Autocorrelation0.360*0.0110.0170.104*0.0540.0180.0320.050
1/1/1994–6/12/1999Ljung-Box statistics 203.0$203.2$203.6$220.6$225.2$225.7$227.3$231.3$

Group Policy 7Autocorrelation0.337*0.0010.0370.103*0.062−0.0020.0130.042
1/1/1994–17/1/2001Ljung-Box statistics 212.4$212.4$215.0$235.0$242.2$242.2$242.6$245.9$

Group Policy 8Autocorrelation0.275*−0.0090.0450.087*0.055−0.0100.0090.031
1/1/1994–11/12/2001Ljung-Box statistics 159.5$159.7$164.0$180.1$186.5$186.7$186.9$188.9$

Group Policy 9Autocorrelation0.274*−0.0100.0460.088*0.054−0.0100.0100.032
1/1/1994–29/3/2002Ljung-Box statistics 164.6$164.8$169.4$186.3$192.7$192.9$193.2$195.4$

Group Policy 10Autocorrelation0.269*−0.0060.0490.081*0.053−0.0110.0150.033
1/1/1994–15/10/2004Ljung-Box statistics 210.0$210.1$217.1$236.3$244.4$244.7$245.4$248.5$

Group Policy 11Autocorrelation0.256*−0.0110.0460.077*0.048−0.0090.0120.025
1/1/1994–31/12/2005Ljung-Box statistics 210.5$210.9$217.6$236.6$244.1$244.3$244.8$246.8$

*Denotes significant autocorrelation at two standard error limits; $ denotes LB statistics significant at 1% level of significance.